2.1.2 Maintain Contract Fair Values

This topic describes the systematic instructions to maintain contract fair values.

The fair value of an option keeps fluctuating depending on the market rates. As a result, you need to revalue the price of each option maintained in Oracle Banking Treasury Management daily. Option Fair Values can be updated through the Contract Fair Value Maintenance screen.

1. On Home page, type OTDXCNVL in the text box, and then click next arrow.

   The Options Contract Fair Value Maintenance screen is displayed.

   Figure 2-2 Options Contract Fair Value Maintenance

   
   Description of "Figure 2-2 Options Contract Fair Value Maintenance"
2. On the Options Contract Fair Value Maintenance screen, click New.
3. On the Options Contract Fair Value Maintenance screen, specify the fields.

   For more information on the fields, refer to the below Field Description table.

   Table 2-2 Options Contract Fair Value Maintenance - Field Description

   Field	Description
   Contract Reference Number	Specify the revaluation price. First, select the reference number of the contract, which requires revaluation. Select the appropriate reference number for the adjoining option list. This field is mandatory.
   Reval Effective Date	Specify the date on which the contract fair value becomes effective for evaluating the deal. This field is mandatory.
   Delta Factor	Delta is the change in the option value for every point change in the stock price. You have to specify the delta factor used for the contract only if you have enabled the Delta Accounting Required option at the branch parameter level. Delta factor entered is multiplied by the contract amount to arrive at the delta accounting revaluation amount.
   Fair Value	Specify the current Fair Value of the contract.
   Transaction Date	Specify the date of the transaction. The system defaults it to the branch date. You can modify it.
   User Reference Number	Based on the contract reference number specified, the system displays the user reference number.
   Counterparty	System displays the contract CIF number of the counterparty on saving contract fair value.
   Option Premium	The system defaults the option premium from the contract. It is the price or fee that the user pays or receives respectively for buying or writing an option.
   Counter Currency	The system displays the counter currency on saving the contract.
   Contract Currency	The system displays the contract currency on saving the contract.
   Confirmed	The system picks up and processes only confirmed records for revaluation during the EOD batch. Hence, after entering the values, confirm the same.
   Date	System defaults the current branch date in this field. The current market value of the option that you specify is always considered in the same currency as the option premium currency. In order for the system to pick-up only the latest fair value for revaluation, a user other than the one who created or authorized the Contract Fair Value record has to confirm the new fair value.

   Refer to Annexure A and B for accounting entries and examples pertaining to Delta Accounting.

   During bulk upload of these fair values for multiple contracts, Oracle Banking Treasury Management expects the following information to be present in the upload message:

   • Contract Reference No
   • Effective Date
   • Fair Value

   If any of these values is missing for any record, the system terminates the upload process and raise an error.

   The single record and bulk record uploads requests are handled in bulk requests itself for the following:

   • OT Knock In and Knock Out
   • OT Fairvalue
   • OT Rate Revision

   The system also raise an error if:

   • Contract Reference Number is not valid
   • Duplicate record exists for the Contract Reference Number and Effective date combination
   • Effective date is lesser than the Booking Date
   • Effective date is greater than the application date
   • Delta Factor value is invalid

   Refer to Annexure A and B for accounting entries and examples about Delta Accounting.

   You can run the fair value upload process any time before the OT batch is processed during the day. During the OT batch, contract revaluation is done based on the fair value uploaded.